We study regret minimization in a stochastic multi-armed bandit setting and establish a fundamental trade-off between the regret suffered under an algorithm, and its statistical robustness. Considering broad classes of underlying arms distributions, we show that bandit learning algorithms with logarithmic regret are always inconsistent and that consistent learning algorithms always suffer a super-logarithmic regret. This result highlights the inevitable statistical fragility of all `logarithmic regret bandit algorithms available in the literature---for instance, if a UCB algorithm designed for $sigma$-subGaussian distributions is used in a subGaussian setting with a mismatched variance parameter, the learning performance could be inconsistent. Next, we show a positive result: statistically robust and consistent learning performance is attainable if we allow the regret to be slightly worse than logarithmic. Specifically, we propose three classes of distribution oblivious algorithms that achieve an asymptotic regret that is arbitrarily close to logarithmic.
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